Trend-Following Backtester · Guide · backtest 한국어
equity · US
Comcast Corporation backtest
10 trend-following strategies were compared on the full daily history of Comcast Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.7%, drawdown -68.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -49.0%, Sharpe 0.48, 60% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=75, slow=107 |
9.4% | -49.0% | 0.48 | 0.19 | 64.9x | 118 | 60% |
| EMA 크로스오버 fast=75, slow=90 |
7.9% | -58.3% | 0.43 | 0.14 | 34.5x | 70 | 63% |
| ROC 모멘텀 n=148, threshold=-0.04 |
6.5% | -62.9% | 0.37 | 0.10 | 18.3x | 318 | 68% |
| Donchian 채널 돌파 entryN=27, exitN=63 |
6.1% | -71.3% | 0.35 | 0.09 | 15.5x | 124 | 73% |
| ADX / DI 방향성 period=38, threshold=26 |
2.5% | -33.7% | 0.33 | 0.07 | 3.1x | 28 | 6% |
| Supertrend period=9, mult=5 |
5.1% | -57.2% | 0.32 | 0.09 | 9.9x | 142 | 56% |
| 볼린저 밴드 돌파 n=47, k=1.7 |
2.7% | -73.6% | 0.23 | 0.04 | 3.5x | 260 | 42% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=4 |
2.2% | -51.9% | 0.22 | 0.04 | 2.8x | 102 | 24% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.3% | -91.3% | 0.11 | -0.00 | 0.9x | 378 | 55% |
| MACD fast=18, slow=58, signal=19 |
-5.6% | -97.2% | -0.13 | -0.06 | 0.1x | 549 | 52% |
| Buy and hold | 12.7% | -68.3% | 0.52 | 0.19 | 260.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 75-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 75-day average falls below the 107-day average